开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

jjjzzz · 2020年03月15日

问一道题：NO.PZ2016082406000084

  1. FRM II
  2. Credit Risk Measurement And Management

问题如下：

A risk analyst is trying to estimate the credit VAR for a portfolio of two risky bonds. The credit VAR is defined as the maximum unexpected loss at a confidence level of 99.9% over a one-month horizon. Assume that each bond is valued at $500,000 one month forward, and the one-year cumulative default probability is 2% for each of these bonds. What is the best estimate of the credit VAR for this portfolio, assuming no default correlation and no recovery?

选项：

A.

$841

B.

$1,682

C.

$998,318

D.

$498,318

解释：

ANSWER: D

As in the previous question, the monthly default probability is 0.00168. The following table shows the distribution of credit losses.

This gives an expected loss of $1,682, the same as before. Next, $500,000 is the WCL at a minimum 99.9% confidence level because the total probability of observing a number equal to or lower than this is greater than 99.9%. The credit VAR is then $500,000 - $1,682 = $498,318.

请问一个债券违约概率0.33%是怎么求出来的，年度PD和月度PD转换时是用公式（1-年度PD)=(1-月度PD)^12么

添加评论
1 个答案

袁园_品职助教 · 2020年03月15日

同学你好！

是的，先用你写的公式算出月度PD = 0.001682，然后计算只有一个bond违约的概率

只有一个bond违约即二选一，有两种情况，要么 A 违约 要么 B 违约

即 2 * 0.001682 * (1-0.001682) = 0.003359

  • 1

    回答

  • 1

    关注

  • 443

    浏览
相关问题

$1,682 $998,318 $498,318 ANSWER: in the previous question, the monthly fault probability is 0.00168. The following table shows the stribution of cret losses. This gives expecteloss of $1,682, the same before. Next, $500,000 is the Wa minimum 99.9% confinlevel because the totprobability of observing a number equto or lower ththis is greater th99.9%. The cret Vis then $500,000 - $1,682 = $498,318. 为什么WCL是500,000.00？

2021-04-04 17:22 1 · 回答

NO.PZ2016082406000084 A risk analyst is trying to estimate the cret Vfor a portfolio of two risky bon. The cret Vis finethe maximum unexpecteloss a confinlevel of 99.9% over a one-month horizon. Assume theabonis value$500,000 one month forwar anthe one-yecumulative fault probability is 2% for eaof these bon. Whis the best estimate of the cret Vfor this portfolio, assuming no fault correlation anno recovery? $841 $1,682 $998,318 $498,318 ANSWER: in the previous question, the monthly fault probability is 0.00168. The following table shows the stribution of cret losses. This gives expecteloss of $1,682, the same before. Next, $500,000 is the Wa minimum 99.9% confinlevel because the totprobability of observing a number equto or lower ththis is greater th99.9%. The cret Vis then $500,000 - $1,682 = $498,318. ​怎么用年度违约概率求出月度的违约概率？

2021-02-28 14:33 1 · 回答

A risk analyst is trying to estimate the cret Vfor a portfolio of two risky bon. The cret Vis finethe maximum unexpecteloss a confinlevel of 99.9% over a one-month horizon. Assume theabonis value$500,000 one month forwar anthe one-yecumulative fault probability is 2% for eaof these bon. Whis the best estimate of the cret Vfor this portfolio, assuming no fault correlation anno recovery? $841 $1,682 $998,318 $498,318 ANSWER: in the previous question, the monthly fault probability is 0.00168. The following table shows the stribution of cret losses. This gives expecteloss of $1,682, the same before. Next, $500,000 is the Wa minimum 99.9% confinlevel because the totprobability of observing a number equto or lower ththis is greater th99.9%. The cret Vis then $500,000 - $1,682 = $498,318. 请问，这个组合的EL难道不是固定的，为什么会随着不同的情况变化？因为这两个bon没有fault correlation的，然后直接看成一个100万的bon可以吗？直接求EL

2020-08-30 20:54 1 · 回答

A risk analyst is trying to estimate the cret Vfor a portfolio of two risky bon. The cret Vis finethe maximum unexpecteloss a confinlevel of 99.9% over a one-month horizon. Assume theabonis value$500,000 one month forwar anthe one-yecumulative fault probability is 2% for eaof these bon. Whis the best estimate of the cret Vfor this portfolio, assuming no fault correlation anno recovery? $841 $1,682 $998,318 $498,318 ANSWER: in the previous question, the monthly fault probability is 0.00168. The following table shows the stribution of cret losses. This gives expecteloss of $1,682, the same before. Next, $500,000 is the Wa minimum 99.9% confinlevel because the totprobability of observing a number equto or lower ththis is greater th99.9%. The cret Vis then $500,000 - $1,682 = $498,318. 那么这题为什么不选C答案呢，按照反推法，根据谨慎性的原则，最大的损失不是1M么

2020-08-29 13:39 1 · 回答

A risk analyst is trying to estimate the cret Vfor a portfolio of two risky bon. The cret Vis finethe maximum unexpecteloss a confinlevel of 99.9% over a one-month horizon. Assume theabonis value$500,000 one month forwar anthe one-yecumulative fault probability is 2% for eaof these bon. Whis the best estimate of the cret Vfor this portfolio, assuming no fault correlation anno recovery? $841 $1,682 $998,318 $498,318 ANSWER: in the previous question, the monthly fault probability is 0.00168. The following table shows the stribution of cret losses. This gives expecteloss of $1,682, the same before. Next, $500,000 is the Wa minimum 99.9% confinlevel because the totprobability of observing a number equto or lower ththis is greater th99.9%. The cret Vis then $500,000 - $1,682 = $498,318. 请问答案中的图表是怎么计算出来的？没有看懂啊

2020-04-28 10:38 1 · 回答